Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0228
Annualized Std Dev 0.2143
Annualized Sharpe (Rf=0%) -0.1063

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1376
Quartile 1 -0.0053
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0054
Maximum 0.2707
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0135
Skewness 0.5228
Kurtosis 45.8294

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0109
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.8325
Historical VaR (95%) -0.0171
Historical ES (95%) -0.0322
Modified VaR (95%) -0.0076
Modified ES (95%) -0.0076
From Trough To Depth Length To Trough Recovery
2000-10-02 2008-10-10 NA -0.8325 5149 2018 NA
1999-12-27 2000-01-05 2000-02-03 -0.1453 28 8 20
2000-07-18 2000-08-03 2000-08-31 -0.0994 33 13 20
1999-06-24 1999-09-28 1999-12-06 -0.0976 115 67 48
2000-03-29 2000-05-18 2000-07-14 -0.0971 75 36 39

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.3 0.6 1.3 1.3 -1.2 0 0 1.3 0 -1.9 -0.6 0 1.9
2000 0 1.2 -1.2 0 1.2 0 -0.6 1.1 0.5 0 3.7 3.8 10
2001 -0.5 3.2 1.8 0.4 0.4 1.1 -1.1 -0.2 -1.9 1.1 -0.1 -0.6 3.5
2002 0.8 2 0 0 1.2 -8.9 -2.7 -2.9 -0.7 2.4 -0.6 0.2 -9.4
2003 2.1 -0.2 1.7 -1.9 -0.6 -1.3 0.2 -0.4 -0.7 0.7 0.4 -0.2 -0.3
2004 1.6 1 1.2 0.2 0 0 -0.4 -1 0.4 -0.4 1.3 0.4 4.3
2005 0 0.6 0.2 -1 0.4 0.6 0.4 0.8 -0.2 -1.2 1 -0.2 1.3
2006 0.4 0.4 0.4 0.4 0 -0.6 0.2 0.2 0.6 -0.2 -1.4 -0.2 0.3
2007 -0.6 0 1.7 0 0 -0.2 -1.6 0.2 1.2 0 -0.5 -0.8 -0.5
2008 -1.3 -1 1.1 -0.3 1.1 -2.2 1.2 -0.3 11.9 1.7 -2.2 2.7 12.3
2009 -6.7 0.9 -1.7 0.3 2.2 0.3 0.8 -0.5 -0.2 -1.1 -0.2 1.6 -4.5
2010 1.8 -1.9 -0.4 2 0.4 0 -0.4 1.6 0 0.9 -0.5 -0.2 3.3
2011 -0.6 0.4 -0.2 0.4 -0.4 -0.6 0.2 -0.2 -1.2 -0.3 0 1.3 -1.2
2012 1 1 -0.2 0.3 -0.8 1 1.7 0.7 -0.2 1 -0.2 -0.2 5.3
2013 0.3 0.3 -1 0 -0.7 -0.5 0 -0.8 0 -0.2 0 0.2 -2.4
2014 0.6 -0.5 -0.7 0.4 0.5 -0.4 0 0.4 -1.1 0.5 0.2 0 -0.2
2015 0 0.4 -0.7 0.2 0 -0.4 0.6 0.2 0 0.8 0 -1.3 -0.3
2016 -0.7 0 -0.6 0.8 -0.2 -0.2 0.2 -0.2 0 0.2 0 0.8 0
2017 0 0.2 0.2 0 0.4 0.4 -0.2 -0.2 0.5 -0.3 -0.7 2.6 2.9
2018 -0.4 0.7 0.9 0.4 -0.2 0.5 0.5 -0.4 -1.1 0.5 0 0.4 2
2019 0 0 -0.5 0.5 0.5 -1.7 0 1.6 0.5 -0.2 0.2 -0.3 0.5
2020 0.7 -2.2 -4.4 -0.7 1.4 1.8 0.5 -0.2 -0.4 -0.5 0.9 2 -1.3
2021 -0.5 -0.2 1.2 NA NA NA NA NA NA NA NA NA 0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  9.5  SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  9.44 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9.5  SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  9.56 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  9.5  SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  9.69 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart